Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0910
Annualized Std Dev 0.2183
Annualized Sharpe (Rf=0%) 0.4169

Row

Daily Return Statistics

Close
Observations 4923.0000
NAs 1.0000
Minimum -0.1222
Quartile 1 -0.0055
Median 0.0011
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0071
Maximum 0.1067
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0138
Skewness -0.3313
Kurtosis 7.8440

Downside Risk

Close
Semi Deviation 0.0101
Gain Deviation 0.0094
Loss Deviation 0.0109
Downside Deviation (MAR=210%) 0.0145
Downside Deviation (Rf=0%) 0.0099
Downside Deviation (0%) 0.0099
Maximum Drawdown 0.5734
Historical VaR (95%) -0.0214
Historical ES (95%) -0.0335
Modified VaR (95%) -0.0213
Modified ES (95%) -0.0396
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2011-02-10 -0.5734 842 355 487
2001-08-03 2002-10-07 2003-12-01 -0.3977 569 279 290
2020-02-20 2020-03-23 2020-07-08 -0.3587 97 23 74
2011-07-08 2011-10-03 2012-09-14 -0.2518 301 61 240
2018-09-17 2018-12-24 2019-04-02 -0.2288 136 69 67

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA NA NA NA NA NA NA 0.5 2.2 2.1 0.6 -1.4 4
2002 -0.4 2.5 -0.2 0.5 -0.2 -3.1 -2.9 0.6 0.1 2.9 0.6 -0.3 0
2003 0.9 0.7 -0.7 -0.3 1.4 0.6 -0.4 0.5 1.6 -0.5 1.3 -0.1 5
2004 0.3 1.4 0.6 -0.9 0.2 -1.6 0.4 0.6 1.8 0.1 1.8 -0.1 4.6
2005 0.7 0.7 -0.3 0.5 0.6 0.4 0 -0.2 0.8 0.2 1.8 -0.6 4.7
2006 0.5 1.2 0.1 -0.2 1.7 0 -1 0.6 -0.5 -1.1 -0.4 -0.5 0.3
2007 0.9 -0.6 0.3 0.2 0.4 -0.1 0.2 1.5 1.3 -2.1 0.6 -0.4 2.1
2008 2.3 -2.8 3.4 1.4 0.9 0.1 -0.6 -1.2 -1.8 1.3 -8.9 1.9 -4.6
2009 -3.3 -1.1 1.5 0.5 3.9 0.5 0 -2.1 -3 -2.8 1.6 -1 -5.5
2010 1.7 1.9 1.2 -2.1 -2.3 -0.3 0.3 3.2 0.2 -0.1 2.2 -0.4 5.6
2011 1.4 -1.8 0.6 0.1 -2.4 1.6 -0.7 -1.3 -3 -2.7 -0.1 -0.4 -8.4
2012 1.5 0.9 0.3 0.6 -3.1 2.8 -0.7 0.7 0 1.8 0 1.8 6.7
2013 1 0.3 -0.9 -1 -1.3 1.4 1.9 -0.8 1.1 0.1 -0.2 0.3 2.1
2014 -0.6 -0.2 1.3 0.3 0.1 0.8 -0.2 0.4 -1.6 1.3 -1.3 -0.6 -0.4
2015 -1.4 -0.4 -0.4 1.1 0.2 0.6 0.2 -2.7 0.2 0 0.8 -0.9 -2.8
2016 0.4 2.4 0.5 -0.7 0.4 0.2 -0.1 0.2 0.8 -0.8 -1 -0.6 1.6
2017 -0.1 1.1 -0.1 0.2 1.3 0.3 0.1 0.4 0.5 -0.3 -0.5 -0.6 2.2
2018 0 -1 1.4 0.4 1.2 0.1 -0.1 0.4 -0.5 1.9 0.7 1.2 5.6
2019 0.7 0.7 1.3 -1.1 -0.9 0.9 -0.9 -0.3 -1.2 1 -0.6 0.2 -0.2
2020 -2 -0.4 -4.5 -2.8 1 1 0.4 1.6 1.3 -1.8 0.3 -0.1 -6.1
2021 2 2.8 0.9 NA NA NA NA NA NA NA NA NA 5.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2001-08-01  18.5 SPY    122.  0.0063  0.0253   -0.0163  -0.0371   -0.151       NA       NA <NA>     NA    NA       NA
2 2001-08-03  18.3 SPY    122. -0.0055  0.0094    0.0021  -0.0424   -0.162       NA       NA <NA>     NA    NA       NA
3 2001-08-06  18.2 SPY    120. -0.0134 -0.0046    0.0105  -0.0471   -0.178       NA       NA <NA>     NA    NA       NA
4 2001-08-09  17.4 SPY    119.  0.003  -0.0304    0.0042  -0.0567   -0.194       NA       NA <NA>     NA    NA       NA
5 2001-08-14  17.8 SPY    119. -0.0004 -0.0124   -0.0119  -0.0533   -0.201       NA       NA <NA>     NA    NA       NA
6 2001-08-15  17.5 SPY    118. -0.0086 -0.00240  -0.0295  -0.0831   -0.207       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart